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All Journal Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) Ecces: Economics, Social, and Development Studies Scientific Journal of Informatics
Deri Siswara
IPB University
Religion Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Engineering Social Sciences

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The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War Deri Siswara; Jaenal Effendi; Marhamah Muthoharroh
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol 13, No 1 (2021)
Publisher : Faculty of Shariah and Law, UIN Syarif Hidayatullah Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (345.621 KB) | DOI: 10.15408/aiq.v13i1.20820

Abstract

Abstract. The purpose of this study is to analyze the integration and response of the Islamic stock market of the OIC countries before the crisis and during the China stock market crisis, also during the United States-China trade war with the ARDL method. The results showed that there was no cointegration in the period before the China stock market crisis. However, during the period of the China stock market crisis and the United States-China trade war, the cointegration was more common. The Indonesia Islamic stock market in the two crisis periods had a long-term relationship with the US and China stock markets. In terms of the benefits of portfolio diversification for investors, there is relevance of dominant economic, geographical, and trade relations in influencing the integration of the Islamic stock market.Keywords: Market Integration, Islamic Stock, China Stock Market Crisis, US-China Trade War, ARDL. Abstrak. Tujuan penelitian ini menganalisis integrasi dan respon pasar saham syariah negara-negara OKI sebelum dan saat terjadi krisis pasar saham Tiongkok, serta saat terjadi perang dagang Amerika Serikat-Tiongkok dengan metode ARDL. Hasil penelitian menunjukan bahwa tidak terdapat kointegrasi atau hubungan jangka panjang pada semua pasar saham syariah negara-negara anggota OKI pada periode sebelum krisis pasar saham Tiongkok. Akan tetapi, pada perode krisis pasar saham Tiongkok dan perang dagang Amerika Serikat-Tiongkok, integrasi antar pasar saham syariah di negara OKI lebih banyak ditemukan. Pasar saham syariah Indonesia dalam dua periode krisis memiliki hubungan jangka panjang dengan pasar saham Amerika Serikat dan Tiongkok. Dalam hal manfaat diversifikasi portofolio bagi investor, terdapat relevansi kekuatan ekonomi yang dominan, faktor geografis, dan hubungan perdagangan  dalam mempengaruhi integrasi pasar saham syariah.Kata kunci: Integrasi Pasar, Saham Syariah, Krisis Pasar Saham Tiongkok, Perang Dagang AS-Tiongkok, ARDL.  
Regional Tourism Development in Nusa Tenggara Barat: Maximizing Local Economic Development Deri Siswara; Dessy Rotua Natalina Siahaan; Anwar Fitrianto; Bagus Sartono; Sachnaz Desta Oktarina
EcceS (Economics, Social, and Development Studies) Vol 9 No 2 (2022): December
Publisher : Fakultas Ekonomi dan Bisnis Islam UIN Alauddin Makassar

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24252/ecc.v9i2.32194

Abstract

The diversity of each region causes different potentials in each region. The potential of the village can map how rich the area is, the advantages of the area, and the population and welfare. Tourism is one of them; this sector is potential for the area because it can lift its economy if it is adequately managed. Good management is born from the policies/regulations of the local government. Nusa Tenggara Barat is a province with many tourist attractions. However, from an economic and socio-cultural perspective, Nusa Tenggara Barat has yet to be able to compete with other major provinces in Indonesia, such as the Special Region of Yogyakarta (DIY). The 2018 Village Potential Data by BPS can assist the government in compiling efforts for the village's progress. In the process of data processing, especially big data, in-depth exploration is needed to produce meaningful insight. Clustering is one of the exploration techniques that can map areas in Nusa Tenggara Barat based on the tourism potential in each village. K-Prototypes are used in cases with mixed variables (numeric and categorical). Determination of the best number of clusters is using the silhouette index. It produced 5 clusters with their respective diversity. There are five clusters in Nusa Tenggara Barat by the villages based on tourism aspects and factors that support tourism. Cluster 3 is an ideal cluster, meaning tourism development in that cluster is complete. Cluster 5 has considerable potential in tourism because the supporting factors are analytically good. There are villages dispersed across Sumbawa Barat, Sumbawa, Lombok Tengah, Lombok Barat, Dompu, and Bima that are part of cluster 1. In Sumbawa Barat and Lombok Tengah, cluster 1 predominates numbers. The settlements in cluster 2 are then more prevalent in Sumbawa and Bima. Furthermore, Sumbawa, Dompu, and Bima have the highest concentrations of cluster 4. Unlike clusters 3 and 5, special attention should be paid to clusters 1, 2, and 4 in tourism development. Implications of this research are the government could take toward each cluster to increase the GDP-oriented service product, namely tourism; whether it is an improvement or reconstruction, clustering analysis works its role in learning the data to make the policy more focused.
Classification Modeling with RNN-based, Random Forest, and XGBoost for Imbalanced Data: A Case of Early Crash Detection in ASEAN-5 Stock Markets Siswara, Deri; M. Soleh, Agus; Hamim Wigena, Aji
Scientific Journal of Informatics Vol. 11 No. 3: August 2024
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/sji.v11i3.4067

Abstract

Purpose: This research aims to evaluate the performance of several Recurrent Neural Network (RNN) architectures, including Simple RNN, Gated Recurrent Units (GRU), and Long Short-Term Memory (LSTM), compared to classic algorithms such as Random Forest and XGBoost, in building classification models for early crash detection in the ASEAN-5 stock markets. Methods: The study examines imbalanced data, which is expected due to the rarity of market crashes. It analyzes daily data from 2010 to 2023 across the major stock markets of the ASEAN-5 countries: Indonesia, Malaysia, Singapore, Thailand, and the Philippines. A market crash is the target variable when the primary stock price indices fall below the Value at Risk (VaR) thresholds of 5%, 2.5%, and 1%. Predictors include technical indicators from major local and global markets and commodity markets. The study incorporates 213 predictors with their respective lags (5, 10, 15, 22, 50, 200) and uses a time step of 7, expanding the total number of predictors to 1,491. The challenge of data imbalance is addressed with SMOTE-ENN. Model performance is evaluated using the false alarm rate, hit rate, balanced accuracy, and the precision-recall curve (PRC) score. Result: The results indicate that all RNN-based architectures outperform Random Forest and XGBoost. Among the various RNN architectures, Simple RNN is the most superior, primarily due to its simple data characteristics and focus on short-term information. Novelty: This study enhances and extends the range of phenomena observed in previous studies by incorporating variables such as different geographical zones and periods and methodological adjustments.
The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War Siswara, Deri; Effendi, Jaenal; Muthoharroh, Marhamah
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol. 13 No. 1 (2021)
Publisher : UNIVERSITAS ISLAM NEGERI SYARIF HIDAYATULLAH JAKARTA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/aiq.v13i1.20820

Abstract

Abstract. The purpose of this study is to analyze the integration and response of the Islamic stock market of the OIC countries before the crisis and during the China stock market crisis, also during the United States-China trade war with the ARDL method. The results showed that there was no cointegration in the period before the China stock market crisis. However, during the period of the China stock market crisis and the United States-China trade war, the cointegration was more common. The Indonesia Islamic stock market in the two crisis periods had a long-term relationship with the US and China stock markets. In terms of the benefits of portfolio diversification for investors, there is relevance of dominant economic, geographical, and trade relations in influencing the integration of the Islamic stock market.Abstrak. Tujuan penelitian ini menganalisis integrasi dan respon pasar saham syariah negara-negara OKI sebelum dan saat terjadi krisis pasar saham Tiongkok, serta saat terjadi perang dagang Amerika Serikat-Tiongkok dengan metode ARDL. Hasil penelitian menunjukan bahwa tidak terdapat kointegrasi atau hubungan jangka panjang pada semua pasar saham syariah negara-negara anggota OKI pada periode sebelum krisis pasar saham Tiongkok. Akan tetapi, pada perode krisis pasar saham Tiongkok dan perang dagang Amerika Serikat-Tiongkok, integrasi antar pasar saham syariah di negara OKI lebih banyak ditemukan. Pasar saham syariah Indonesia dalam dua periode krisis memiliki hubungan jangka panjang dengan pasar saham Amerika Serikat dan Tiongkok. Dalam hal manfaat diversifikasi portofolio bagi investor, terdapat relevansi kekuatan ekonomi yang dominan, faktor geografis, dan hubungan perdagangan  dalam mempengaruhi integrasi pasar saham syariah.   
Co-Authors Agus Mohamad Soleh Bagus Sartono Dessy Rotua Natalina Siahaan Fitrianto, Anwar Hamim Wigena, Aji JAENAL EFFENDI Marhamah Muthoharroh Muthoharroh, Marhamah